It is well known that historical data can be quite different between different sources. There is sometimes a big difference in some equity prices between QC historical data (QuantQuote) and what my broker (IB) is showing for that point in time. So if you are backtesting and live trading on different data streams, i would think the backtesting results are not that valid? I recon it is even of a concern with forex data.
If you have live or paper traded here, how would you compare the results with backtesting results. Assuming correct slippage estimation.
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Backtesting vs live or paper trading results
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Hey Robbert! We're always working on making the backtesting and live trading as realistic and close as possible :) There are a few reasons why things can be different which we've answered in many forum posts before but I'll repeat here:
Equities:
- You're backtesting on ticks from all the exchanges built into bars - the identical data from backtesting.
- Most common difference is adjusted data vs raw data (adjusting for historical splits and dividends).
- Choice of the last trade time; see QuantQuote's explaination here. "Why is your data different from Yahoo Finance?"
Forex:
- Forex isn't a single price; each broker servers their own prices and often have different prices within the brokerage!
- We serve FXCM's standard account midpoint for bars; and bid/ask for ticks. We use the same price stream for live trading.
- We also serve Oanda's standard v1.1 API prices for live and backtesting data. This will probably change in the next 12mo as we update to Oanda v2.0 API which streams different prices for everyone.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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